In 'Site Admin > Network Theme > Advanced Options' there is an area that says "Exclude these blogs from the featured display:"
When I add a new site it is getting automagically added to this list. I can't see any way to add or remove sites inside of this list (IE9). More, the sites listed there aren't being excluded at all - with the sole exception being the main site, which is actually being excluded.
I'm using the latest versions of everything on a WPMU installation.